The Bank seeks an experienced Quantitative Analyst, proficient in SQL and R, to join the Portfolio Strategy & Analytics team within Credit Risk Management (CRM). The ideal candidate will have experience in advanced statistical modeling, ideally with a variety of credit portfolios, and will be responsible for both the development and operation of credit risk models including Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD) and Expected Credit Loss (ECL).
The various models and methodologies will support a range of risk management applications including, but not limited to, stress testing, capital planning, the Allowance for Loan and Lease Losses (both for the existing ALLL and in alignment with the pending Current Expected Credit Loss standard, or CECL) and portfolio valuations. The Analyst will be considered an expert resource in credit risk modeling, working closely with team members and other stakeholders such as business units and risk management, external auditors and regulatory agencies.
ESSENTIAL DUTIES & RESPONSIBILITIES
The individual is expected to provide quantitative support to the Bank's efforts to manage credit risk in portfolios covering a range of asset classes, and ensure that the PD, LGD, valuation and ECL models comply with all applicable regulations. For existing or third-party models, core competency involves understanding the purpose of the models, how they work, how they are used, how well they perform, and what effective challenges are to the current models. Specific duties include the following:
Manage large and complex credit data sets using statistical tools and database technologies.
Work independently to design, build and maintain internal and external statistical models to quantify the value of the credit risk parameters.
Conduct macroeconomic forecasting, credit risk forecasting and incorporation of macroeconomic variables in credit risk models.
Perform model calibration, back-testing, sensitivity testing, and stress testing of credit parameters.
Present results to various groups of stakeholders, including senior management.
Deliver high quality documentation and presentations to support and maintain model and library use.
Work with the data governance team to document business requirements, and with information technology to ensure methodologies are accurately implemented in production systems.
Complete ad hoc assignments in the general areas of credit risk management and analytics.
EDUCATION and/or EXPERIENCE
Advanced degree in statistics, finance, economics or other quantitative field and a minimum of four to five years of experience in statistical and econometric modeling, including at least two in a financial institution/commercial bank environment, or
Bachelor's degree in a quantitative field, and five to eight years of experience in statistical modeling within commercial banks or financial institutions.
OTHER SKILLS & REQUIREMENTS
Good business knowledge and familiarity with commercial/small business/retail banking products, operations and processes.
Working knowledge of point-in-time (PIT) and through-the-cycle (TTC) PD and rating approaches, as well as key industry default and loss data from rating agencies and other vendors.
Solid working knowledge of programming, data mining and relational databases (R, SAS, SQL, Python); knowledge of Java / C++ and basic PL/SQL knowledge a plus.
Strong ability with standard software and visualization tools such as Excel, PowerPoint, Word and Tableau.
Strong skills in written model documentation.
Familiarity with model risk management best practices and regulatory guidance (OCC 2011/12 SR11-7).
Analytical, resourceful, persistent, pragmatic and motivated.
Time management skills to prioritize multiple tasks in a fast-paced and evolving environment.
Ability to read, analyze, and interpret common scientific and technical journals, financial reports and legal documents. Ability to respond to common inquiries of complaints of customers, regulatory agencies or members of the business community. Ability to write speeches and articles for publication that conform to prescribed style and format. Ability to effectively present information to top management, public groups, and/or boards of directors.
Ability to comprehend and apply principles of advanced calculus, modern algebra, and advanced statistical theory. Ability to work with concepts such as limits, rings, quadratic and differential equations, and proofs of theorems.
Ability to define problems, collect data, establish facts, and draw valid conclusions. Ability to interpret an extensive variety of technical instructions in mathematical or diagram form and deal with several abstract and concrete variables.
While performing the duties of this job, the employee is regularly required to walk and talk or hear. The employee frequently is required to stand and sit. The employee is occasionally required to use hands to finger, handle, or feel; reach with hands and arms; and stoop, kneel, crouch, or crawl. The employee must frequently lift and/or move up to 50 pounds. Specific vision abilities required by this job include close vision.
The work environment characteristics described here are representative of those an employee encounters while performing the essential functions of this job. Reasonable accommodations may be made to enable individuals with disabilities to perform the essential functions.
The noise level in the work environment is usually moderate.